常利率复合二项风险模型的进一步研究

发布时间：2018-01-24 10:33

本文关键词： 风险模型破产概率生存概率利率因素双险种二项过程递归方法　出处：《延安大学》2014年硕士论文　论文类型：学位论文

【摘要】：本文对李粉香[1]提出特殊双险种风险模型进行了推广，从而给出了同保费和理赔的到达过程为二项过程的特殊风险模型，即常利率复合二项双险种风险模型，使风险模型更全面科学的为保险实务服务.全文具体内容分为以下几部分：第一部分，研究常利息下的复合二项双险种风险模型的破产概率问题，首先得出该模型下保险公司稳定经营的必要条件；其次证明调节系数是存在的，并采用递归的方法，得出该模型的两种破产概率上界的估计. 第二部分，研究此模型的破产概率和生存概率两种精算指标，并得到有限时间内的破产概率、最终破产和生存概率的具体分布. 第三部分，，研究此模型在各种精算量的具体分布下调节系数所满足的方程.利用MATLAB软件，研究利率因素对破产概率的影响，并结合具体实例进行数值模拟. 第四部分，对该论文做出总结,并提出我们需要继续进一步开展的工作.
[Abstract]:A study on the effect of Prunus chinensis. [1. The special double insurance risk model is generalized, and a special risk model is given in which the arrival process of the same premium and claim is binomial, that is, the constant interest rate compound binomial double insurance risk model. Make the risk model more comprehensive and scientific for insurance practice. The full text is divided into the following parts: In the first part, we study the ruin probability of the compound binomial insurance risk model under constant interest, and obtain the necessary conditions for the stable operation of the insurance company under the model. Secondly, it is proved that the adjustment coefficient exists, and the two upper bounds of ruin probability of the model are estimated by recursive method. In the second part, we study the ruin probability and the survival probability of the model, and obtain the ruin probability, the final ruin probability and the survival probability distribution in finite time. In the third part, we study the equation of the adjustment coefficient under the specific distribution of various actuarial quantities. Using MATLAB software, we study the influence of interest rate factors on the ruin probability. Numerical simulation is carried out with concrete examples. Part 4th summarizes this paper and points out that we need further work.
【学位授予单位】：延安大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F840;O211.67

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